Category Archives: PubfacLeonA

Skewness in energy returns: estimation, testing and implications for tail risk

Carnero, M.A; León, A. & T. Ñiguez
Quarterly Review of Economics and Finance – 2023

04 de September de 2023Pub, PubFac, PubFacCarneroM, PubfacLeonA, PubFeatured, Pubfield, PubfieldFeatured, Pubyear2023By coralio

Copula methods for evaluating relative tail forecasting performance

León, A & T. Ñiguez
Journal of Risk Finance – 2021

08 de March de 2023Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, Pubyear2021By coralio

Pandemic Effects in the Solow Growth Model

Carmona J. & A. León
Bulletin of Economic Research – Forthcoming

08 de March de 2023Pub, PubFac, PubfacCarmonaJ, PubfacLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubyearForthcomingBy coralio

Investment option under CIR interest rates

Carmona J. & A. León
Finance Research Letters – 2007

08 de March de 2023Pub, PubFac, PubfacCarmonaJ, PubfacLeonA, PubFeatured, Pubfield, PubfieldFeatured, Pubyear2007By coralio

Pricing executive stock options under employment shocks

Carmona J. & A. León
Journal of Economic Dynamics and Control – 2011

08 de March de 2023Pub, PubFac, PubfacCarmonaJ, PubfacLeonA, PubFeatured, Pubfield, PubfieldFeatured, Pubyear2011By coralio

Backtesting VaR under the COVID-19 sudden changes in volatility

Castillo, B., León, A & T. Ñiguez
Finance Research Letters – 2021

08 de March de 2023Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, Pubyear2021By coralio

Polynomial adjusted Student-t densities for modeling asset returns

León, A & T. Ñiguez
European Journal of Finance – 2022

08 de March de 2023Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, Pubyear2022By coralio

Estimating Value-at-Risk and Expected Shortfall: Do Polynomial Expansions Outperform Parametric Densities?

Castillo-Brais, B., León, A. & J. Mora.
Mathematics – 2022

18 de November de 2022Pub, PubFac, PubfacLeonA, PubFacMoraJ, PubFeatured, Pubfield, PubfieldFeatured, PubfieldFeaturedMath, PubfieldMath, Pubyear2022By coralio

The Transformed Gram Charlier distribution: Parametric properties and financial risk applications

León, A & T. Ñiguez
Journal of Empirical Finance – 2021

29 de July de 2021Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, Pubyear2021By coralio

Modeling asset returns under time-varying semi-nonparametric distributions

Leon, A. and T.M. Ñiguez
Journal of Banking and Finance – 2020

19 de October de 2020Pub, PubFac, PubfacLeonA, PubfacSelected, PubfacSelectedLeonA, PubFeatured, Pubfield, PubfieldFeatured, PubSelected, Pubyear2020By coralio